On the Study of Ruin at Two Sided Risk Renewal Processes

Abstract

Since the introduction of Two sided movements of risk reserves in the renewal risk theory scenario, the concept has been the major area of analysis for many researchers. Under some elementary assumptions, on approximating appropriate distributions to inter time claim occurrence, the explicit expressions for ruin theory components in the literature could be generated. In this work, we examine probability density of the time of ruin, surplus immediately before ruin and deficit at ruin respectively under two sided risk process using some fundamental assumptions. Explicit expressions for distribution of interest are also being derived.